A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option

DOI10.1016/j.cam.2015.10.025zbMath1329.91146OpenAlexW2413409321MaRDI QIDQ896802

Allan Jonathan da Silva, Jack Baczynski, José Valentim Machado Vicente

Publication date: 14 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.025

zbMATH Keywords

PDEfinite difference methodscomputational financeoption pricing and hedginginterest rates derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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